Unformatted text preview: und. b) Calculate the Orange fund’s estimated alpha in the two‐factor model. c) Calculate the total, systematic, and idiosyncratic risk of the Orange fund using the two‐factor model. d) Calculate the Information ratio of the Orange fund using the two‐factor model. e) Calculate the R‐squared of the two‐factor model regression. Ignore correction for the degrees of freedom. 6. Crystal fund (CF) is a hedge fund that is invested in various companies’ equity. Consider the Fama and French three‐factor model to evaluate Crystal fund’s returns. The following is the results of the Crystal fund’s Fama and French three‐factor model regression. The model is estimated at monthly frequency with 588 months of data. ANOVA Regression Residual Tot...
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This note was uploaded on 02/08/2014 for the course COMM 374 taught by Professor Lazrak during the Spring '08 term at UBC.
- Spring '08